Results 81 to 90 of about 51,403 (193)
Bayesian semiparametric GARCH models [PDF]
This paper aims to investigate a Bayesian sampling approach to parameter estimation in the semiparametric GARCH model with an unknown conditional error density, which we approximate by a mixture of Gaussian densities centered at individual errors and ...
Maxwell L. King, Xibin Zhang
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Jurnal Akuntansi dan Keuangan, 2011 Agricultural sector plays an important role in Indonesia‟s economy; especially for the plantation sub-sector contributing high revenues to Indonesia‟s exporting sectors.
Saarce Elsye Hatane
doaj
MODELING ROMANIAN EXCHANGE RATE EVOLUTION WITH GARCH, TGARCH, GARCH- IN MEAN MODELS [PDF]
Annals of the University of Oradea: Economic Science, 2011 In this paper we analyze the return of exchange rate in order to test and analyze the best models which are capable of forecasting accurately there evolution. We apply the GARCH family models on the exchange rate return in order to obtain the best models
Cociuba Mihail Ioan, Trenca Ioan
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FRS17 and the Sterling Doubles A Corporate Yield Curve [PDF]
The skewness in physical distributions of equity index returns and the implied volatility skew in the risk-neutral measure are subjects of extensive academic research.
Frank Skinner, Michalis Ioannides
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, 1999 Research Report / Seminar für Statistik and Department of Mathematics, Eidgenössische Technische Hochschule (ETH ...
Bühlmann, Peter, McNeil, Alexander J.
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M-ESTIMATION IN GARCH MODELS [PDF]
Econometric Theory, 2008 This paper derives asymptotic normality of a class ofM-estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator.
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Modeling the volatility of FTSE All Share Index Returns [PDF]
We tested different GARCH models in modeling the volatility of stock returns in London Stock Exchange. The monthly returns of FTSE All Share Index during the period of February 1965 and October 2002 and GARCH, TGARCH, EGARCH, and AGARCH models have been ...
Bayraci, Selcuk
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Tempered stable and tempered infinitely divisible GARCH models [PDF]
In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation, referred to as the rapidly decreasing tempered stable (RDTS) GARCH model.
Bianchi, Michele Leonardo +3 more
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Asymmetric Conditional Volatility Models: Empirical Estimation and Comparison of Forecasting Accuracy [PDF]
This paper compares several statistical models for daily stock return volatility in terms of sample fit and out-of-sample forecast ability. The focus is on U.S. and Romanian daily stock return data corresponding to the 2002-2010 time interval.
Miron, Dumitru, Tudor, Cristiana
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Cogent Economics & Finance, 2016 This paper empirically compares the usefulness of information included in the volatility index (VIX) against several generalized autoregressive conditional heteroskedasticity (GARCH) models for predicting downside risk in the US stock market.
Chikashi Tsuji
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